Currency Linkages among ASEAN

Chin Lee () and M Azali

MPRA Paper from University Library of Munich, Germany

Abstract: The purpose of this study is to examine the potential linkages among ASEAN-5 currencies, in particular the possibility of Singapore dollar bloc during the pre- and post crisis periods by using Johansen multivariate cointegration test and Granger causality test. Significant non-stationarity, and the presence of unit roots were documented for each currency under both study periods. Using ASEAN-4 exchange rates against Singapore dollar, Johansen cointegration test showed that there was no cointegrating relationship during the pre-crisis period, however there were two statistically significant cointegrating vectors among ASEAN exchange rates for the post-crisis period. These findings imply that there is low financial integration before the crisis, but ASEAN countries are financially more integrated after the crisis. This finding also indicated the increasingly important role of the Singapore dollar in ASEAN. Therefore, Singapore dollar may be a possible candidate as the common currency for ASEAN. The analysis is repeated by adding US dollar to the model. The finding ascertains the influence of US dollar on ASEAN currencies before the crisis.

Keywords: Exchange Rate; Cointegration; Granger-causality; ASEAN (search for similar items in EconPapers)
JEL-codes: F31 F33 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published in Singapore Economic Review 3.55(2010): pp. 459-470

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/121420/1/MPRA_paper_121420.pdf original version (application/pdf)

Related works:
Journal Article: CURRENCY LINKAGES AMONG ASEAN (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:121420

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().